The passing of Directive 2009/138/CE (Solvency II) has opened a new era in the European insurance market. According to this new regulatory environment, the volume of own resources will be determined depending on the risks that any insurer would be holding. So, nowadays, the model to estimate the...

A great number of articles have dealt with stochastic comparisons of ordered random variables in the last decades. In particular, distributional and stochastic properties of ordinary order statistics have been studied extensively in the literature. Sequential order statistics are proposed as an...

Composite indicators play an essential role for benchmarking higher education institutions. One of the main sources of uncertainty building composite indicators and, undoubtedly, the most debated problem in building composite indicators is the weighting schemes (assigning weights to the simple...

We examine the issue of variable selection in linear regression have a potentially large amount of possible covariates and economic theory offers insufficient guidance on how to select the Model Averaging presents uncertainty. Our main interest here is the effect of the prior on the results,...

This paper provides a formulation of a stochastic dynamic game that arise in the real scenario of international environmental agreements on the transnational pollution control. More specifically, this agreements try to reduce the environmental damage caused by the stock pollutant that...

We analyze from an economical point of view a tandem network with two nodes. We look at different situations, that is, when customers upon their arrival are no informed, partially informed or totally informed about the state of the system. For each case, we look for the strategy that optimizes...

Free probability is a noncommutative probability theory introduced by Voiculescu where the concept of independence of classical probability is replaced by the concept of freeness. An important connection between free and classical infinite divisibility was established by Bercovici and Pata...

The analysis of short longitudinal series of circular data may be problematic and to some extent has not been completely developed. In this paper we present a Bayesian analysis of a model for such data. The model is based on a radial projection onto the circle of a particular bivariate normal...

Move-to-front rule is a heuristic updating a list of n items according to requests. Items are required with unknown probabilities (or popularities). The induced Markov chain is known to be ergodic. One main problem is the study of the distribution of the search cost defined as the position of...

In this paper we compare the forecast performance of continuous and discrete-time volatility models. In discrete time, we consider more than ten GARCH-type models and an asymmetric autoregressive stochastic volatility model. In continuous-time, a stochastic volatility model with mean reversion,...